public virtual void test_parSpreadSensitivity()
{
PointSensitivities computed = PRICER.parSpreadSensitivity(TRADE, RATES_PROVIDER, REF_DATA);
PointSensitivities expected = PRICER_PRODUCT.parSpreadSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA).build();
PointSensitivities computedMf = PRICER_MF.parSpreadSensitivity(TRADE_NO_SETTLE_DATE, RATES_PROVIDER, REF_DATA);
PointSensitivities expectedMf = PRICER_PRODUCT_MF.parSpreadSensitivity(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA).build();
assertTrue(computed.equalWithTolerance(expected, TOL));
assertTrue(computedMf.equalWithTolerance(expectedMf, TOL));
}
/// <summary>
/// Calculates the par spread sensitivity of the product.
/// <para>
/// The par spread sensitivity of the product is the sensitivity of par spread to the underlying curves.
/// The resulting sensitivity is based on the currency of the CDS index product.
///
/// </para>
/// </summary>
/// <param name="cdsIndex"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="referenceDate"> the reference date </param>
/// <param name="refData"> the reference data </param>
/// <returns> the par spread </returns>
public virtual PointSensitivityBuilder parSpreadSensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
{
ResolvedCds cds = cdsIndex.toSingleNameCds();
return(underlyingPricer.parSpreadSensitivity(cds, ratesProvider, referenceDate, refData));
}
/// <summary>
/// Calculates the par spread sensitivity of the underling product.
/// <para>
/// The par spread sensitivity of the product is the sensitivity of par spread to the underlying curves.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the present value sensitivity </returns>
public virtual PointSensitivities parSpreadSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
{
LocalDate settlementDate = calculateSettlementDate(trade, ratesProvider, refData);
return(productPricer.parSpreadSensitivity(trade.Product, ratesProvider, settlementDate, refData).build());
}
